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Information about:
Eric Benhamou

Personal Details | Affiliation | Lists | Works
This is information that was supplied by Eric Benhamou in registering through RePEc. If you are Eric Benhamou , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Eric
Middle Name:
Last Name: Benhamou
Suffix:

RePEc Short-ID: pbe39

Email:
Homepage: http://www.ericbenhamou.fr.st
Postal Address: CDC Ixis CM 47 Quai d'Austerlitz 75013 Paris Cedex France
Phone: 0033 1 55 581598

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
This author is featured on the following reading lists or publication compilations:
  1. Top RePEc authors by total file downloads per work

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Eric Benhamou, 2002. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," Finance 0212003, EconWPA. [Downloadable!]

  2. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA. [Downloadable!]

  3. Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, EconWPA. [Downloadable!]

  4. Eric Benhamou, 2002. "Smart Monte Carlo: Various tricks using Malliavin calculus," Finance 0212004, EconWPA. [Downloadable!]

  5. Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics. [Downloadable!]

Articles

  1. Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September. [Downloadable!] (restricted)

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This page was last updated on 2008-7-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.